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Option valuation with long-run and short-run volatility components
Christoffersen, Peter; Jacobs, Kris; Ornthanalai, Chayawat - In: Journal of financial economics 90 (2008) 3, pp. 272-297
Persistent link: https://www.econbiz.de/10008149195
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Volatility Components, Affine Restrictions, and Nonnormal Innovations
Christoffersen, Peter; Dorion, Christian; Jacobs, Kris; … - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 4, pp. 483-503
Persistent link: https://www.econbiz.de/10008704010
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Option valuation with long-run and short-run volatility components
Christoffersen, Peter; Jacobs, Kris; Ornthanalai, Chayawat - In: Journal of financial economics 90 (2008) 3, pp. 272-298
Persistent link: https://www.econbiz.de/10008890951
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VIX futures
Zhang, Jin E.; Zhu, Yingzi - In: The journal of futures markets 26 (2006) 6, pp. 521-532
Persistent link: https://www.econbiz.de/10006808216
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An E-ARCH model for the term structure of implied volatility of FX options
Zhu, Yingzi; Avallaneda, Marco - In: Applied mathematical finance 4 (1997) 2, pp. 81-100
Persistent link: https://www.econbiz.de/10008219569
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A DECADE IN DENIAL - As 2010 approaches, Tony Travers looks back at a rollercoaster of a decade, which went from boom to bust, taking in war, pestilence, terrorist attacks and unnatural disasters along the way
Lu, Zhongjin; Zhu, Yingzi - In: Public finance : the business monthly of the public sector (2010), pp. 18-22
Persistent link: https://www.econbiz.de/10008351587
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Technical analysis: An asset allocation perspective on the use of moving averages
Zhu, Yingzi; Zhou, Guofu - In: Journal of financial economics 92 (2009) 3, pp. 519
Persistent link: https://www.econbiz.de/10008262395
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Volatility Trading: What Is the Role of the Long-Run Volatility Component?
Zhou, Guofu; Zhu, Yingzi - In: Journal of financial and quantitative analysis : JFQA 47 (2012) 2, pp. 273-309
Persistent link: https://www.econbiz.de/10009993990
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Technical analysis: An asset allocation perspective on the use of moving averages
Zhu, Yingzi; Zhou, Guofu - In: Journal of financial economics 92 (2009) 3, pp. 519-545
Persistent link: https://www.econbiz.de/10008896751
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Is the Recent Financial Crisis Really a "Once-in-a-Century" Event?
Zhou, Guofu; Zhu, Yingzi - In: Financial analysts' journal : FAJ 66 (2010) 1, pp. 24-28
Persistent link: https://www.econbiz.de/10008380974